Suppose that you are considering investing in two mutual funds for your client. The

security analysts at your firm estimate the probability distribution of the two risky funds

is as follows:

Stock Fund

Bond Fund

A risk$-$free fund has a return of $4\%$

Correlation coefficient $=\mathrm{.}2$

What are the investment proportions in the optimal risky portfolio of the two risky

funds? Round your bond$-$stock weights without decimals $($e$.$g$.,$ in the format shown$)$ and

use your rounded weights for calculation $6$ below.

A$)26\%$ in bonds and $74\%$ in stock

B$)34\%$ in bonds and $66\%$ in stock

C$)40\%$ in bonds and $60\%$ in stock

D$)48\%$ in bonds and $52\%$ in stock

E$)$ None of the above

What is the expected return and standard deviation of the optimal risky portfolio?

A$)$ expected return $=11\mathrm{.}00\%$ and standard deviation $=16\mathrm{.}76\%$

B$)$ expected return $=9\mathrm{.}20\%$ and standard deviation $=11\mathrm{.}93\%$

C$)$ expected return $=10\mathrm{.}26\%$ and standard deviation $=14\mathrm{.}27\%$

D$)$ expected return $=14\mathrm{.}66\%$ and standard deviation $=17\mathrm{.}94\%$

E$)$ None of the above